Access Statistics for Lucio Sarno

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Cross-Country Financial Accelerator: Evidence from North America and Europe 0 0 0 166 2 2 8 633
A General Randomized Test for Alpha 0 0 5 5 4 8 17 17
A general randomized test for Alpha 0 0 1 11 4 7 22 30
An Economic Evaluation of Empirical Exchange Rate Models 0 0 0 414 1 3 15 800
Arbitrage in the Foreign Exchange Market: Turning on the Microscope 0 2 2 308 4 9 38 1,155
Arbitrage in the Foreign Exchange Market: Turning on the Microscope 0 2 5 159 3 7 32 621
Arbitrage in the foreign exchange market: Turning on the microscope 0 2 2 469 5 7 42 1,815
Assessing the benefits of international portfolio diversification in bonds and stocks 0 0 1 316 1 4 26 1,337
Asset Prices and International Spillovers: An Empirical Investigation 0 0 0 54 0 1 7 212
Asset Prices, Exchange Rates and the Current Account 0 0 0 52 2 4 14 250
Asset prices, exchange rates and the current account 0 0 0 131 1 1 9 335
Asset prices, exchange rates and the current account 0 0 0 378 1 1 85 1,057
Business Cycles and Currency Returns 0 0 0 24 1 2 23 114
Business Cycles and Currency Returns 0 0 1 49 1 3 27 194
Carry Trades and Global FX Volatility 1 2 3 428 3 8 38 1,053
Carry Trades and Global Foreign Exchange Volatility 1 2 3 257 6 13 42 615
Caution or Activism? Monetary Policy Strategies in an Open Economy 0 0 0 56 1 2 16 225
Caution or Activism? Monetary Policy Strategies in an Open Economy 0 0 0 62 2 2 11 305
Caution or Activism? Monetary Policy Strategies in an Open Economy 0 0 0 65 1 1 9 215
Comparing the Accuracy of Density Forecasts from Competing Models 0 0 0 0 0 2 9 351
Currency Momentum Strategies 1 1 6 285 28 53 124 1,647
Currency Momentum Strategies 0 0 2 150 2 4 29 555
Currency Momentum Strategies 0 1 1 103 4 7 28 463
Currency Premia and Global Imbalances 0 0 2 112 4 4 26 378
Currency Premia and Global Imbalances 0 0 0 67 3 3 3 213
Currency Risk Premia Redux 0 0 0 6 0 3 14 37
Currency Value 0 0 1 112 11 16 25 207
Currency risk premiums redux? 0 0 1 8 2 2 22 44
Does the law of one price hold in international financial markets? Evidence from tick data 0 0 0 98 6 6 20 275
European Capital Flows and Regional Risk 0 0 0 0 1 2 10 392
Exchange Rate Forecasting, Order Flow and Macroeconomic Information 0 0 0 175 4 4 25 552
Exchange Rates and Fundamentals: Evidence on the Economic Value of Predictability 0 0 0 261 3 7 17 638
Exchange Rates and Fundamentals: Footloose or Evolving Relationship? 0 0 0 174 1 5 24 420
Exchange Rates and Sovereign Risk 0 0 1 17 5 8 26 79
Exchange rate forecasting, order flow and macroeconomic information 0 0 0 299 4 7 17 660
Factor Models of Asset Returns and Bear Market Risk 0 1 1 1 1 2 2 2
Federal Funds Rate Prediction 0 0 0 207 1 1 8 1,939
Federal Funds Rate Prediction 0 0 0 482 1 2 17 6,448
Federal funds rate prediction 0 0 0 329 0 0 12 1,561
Foreign Exchange Intervention: A New Database 0 0 1 42 0 0 13 153
Foreign Exchange Risk and the Predictability of Carry Trade Returns 0 1 1 152 1 4 18 363
Foreign Exchange Volume 0 1 2 15 3 4 11 64
Foreign currency lending 0 0 0 44 2 4 14 287
Foreign exchange intervention: A new database 0 0 1 58 3 4 22 105
Foreign exchange intervention: A new database 0 0 2 7 2 3 11 27
Hot Money, Accounting Labels and the Persistence of Capital Flows to Developing Countries: An Empirical Investigation 0 0 0 0 4 4 14 605
How the Subprime Crisis Went Global: Evidence from Bank Credit Default Swap Spreads 0 0 0 635 4 6 21 1,548
How the Subprime Crisis Went Global: Evidence from Bank Credit Default Swap Spreads 0 0 0 0 0 3 23 25
How well do monetary fundamentals forecast exchange rates? 0 0 1 823 1 1 11 2,526
Information flows in foreign exchange markets: dissecting customer currency trades 0 0 3 139 4 11 35 521
Modelling and Forecasting Stock Returns: Exploiting the Futures Market, Regime Shifts and International Spillovers 0 0 0 365 3 4 20 540
Monetary Fundamentals and Exchange Rate Dynamics Under Different Nominal Regimes 0 0 0 1 2 3 18 419
Monetary Fundamentals and Exchange Rate Dynamics under Different Nominal Regimes 0 0 0 213 2 4 13 612
Monetary Policy Rules, Asset Prices and Exchange Rates 0 0 0 238 2 2 18 665
Monetary policy and learning in an open economy 0 0 0 19 3 4 9 150
Monetary policy and learning in an open economy 0 0 0 148 0 0 11 451
New Evidence on the Forward Unbiasedness Hypothesis in the Foreign Exchange Market 0 0 0 174 2 3 11 397
Non-Linear Dynamics in Deviations from the Law of One Price: A Broad-Based Empirical Study 0 0 1 290 1 2 9 931
Non-Linear Equilibrium Corection in US Real Money Balances, 1869-1997 0 0 0 133 2 5 11 421
Non-Standard Errors 0 1 1 28 4 6 22 177
Non-Standard Errors 0 1 1 45 2 3 41 487
Non-linear dynamics in output, real exchange rates and real money balances: Norway, 1830-2003 0 0 0 203 1 1 13 709
Nonlinear Dynamics, Spillovers and Growth in the G7 Economies: An Empirical Investigation 0 0 0 82 1 3 11 350
Nonlinear Exchange Rate Models: A Selective Overview 0 0 0 348 5 6 10 538
Nonlinear Mean-Reversion in Real Exchange Rates: Towards a Solution to the Purchasing Power Parity Puzzles 0 0 2 957 5 7 37 2,070
Nonlinearity in Deviations From Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle 0 0 0 304 2 2 14 707
Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle 0 0 0 161 1 3 26 490
Nonstandard Errors 0 0 0 0 0 2 23 37
Nonstandard Errors 0 0 0 0 2 2 18 26
Nonstandard Errors 0 0 1 4 1 2 22 49
Nonstandard errors 0 1 1 13 1 3 28 85
Official Intervention in the Foreign Exchange Market: Is It Effective, and, If So, How Does It Work? 1 1 7 935 2 4 35 2,388
Properties of Foreign Exchange Risk Premia 0 0 0 152 0 2 19 440
Properties of Foreign Exchange Risk Premiums 0 0 1 83 1 2 10 274
Properties of Foreign Exchange Risk Premiums 0 0 0 74 1 1 16 183
Purchasing Power Parity and the Real Exchange Rate 0 0 2 1,200 4 6 39 3,842
Real Exchange Rates under the Recent Float: Unequivocal Evidence of Mean Reversion 0 0 0 0 3 3 13 864
Real Interest Rates, Liquidity Constraints and Financial Deregulation: Private Consumption Behaviour in the UK 0 0 0 0 2 2 11 710
Risks and Risk Premia in the US Treasury Market 0 0 2 2 3 4 14 18
Risky Bank Guarantees 0 0 0 14 1 2 6 74
Risky bank guarantees 0 0 0 22 2 3 10 62
Saving-Investment Correlations: Transitory versus Permanent 0 0 0 0 2 3 9 491
Skewness Risk Premia and the Cross-Section of Currency Returns 1 3 3 3 6 11 12 12
Spot and Forward Volatility in Foreign Exchange 0 0 3 581 2 8 29 1,889
The Behaviour of Real Exchange Rates During the Post-Bretton Woods Period 0 0 0 389 2 4 67 1,403
The Dynamic Relationship Between the Federal Funds rate and the Treasury Bill Rate: An Empirical Investigation 0 0 0 564 1 2 26 3,198
The Empirical Failure of the Expectations Hypothesis of the Term Structure of Bond Yields 0 0 1 126 1 4 18 449
The Expectation Hypothesis of the Term Structure of Very Short-Term Rates: Statistical Tests and Economic Value 0 0 0 108 1 2 9 470
The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors: A Step Beyond 0 0 0 298 4 7 23 828
The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors: A Step Beyond 0 0 0 522 3 3 20 1,335
The Persistence of Capital Inflows and the Behaviour of Stock Prices in East Asia Emerging Markets: Some Empirical Evidence 0 0 1 220 2 2 13 617
The Predictive Information Content of External Imbalances for Exchange Rate Returns: How Much Is It Worth? 0 0 0 114 2 4 19 241
The Predictive Information Content of External Imbalances for Exchange Rate Returns: How Much Is It Worth? 0 0 0 43 1 1 18 191
The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates 0 0 0 246 2 4 30 657
The Scapegoat Theory of Exchange Rates: The First Tests 0 0 0 63 1 2 38 261
The Scapegoat Theory of Exchange Rates: The First Tests 0 0 0 58 2 2 16 277
The Term Structure Of Euromarket Interest Rates: Some New Evidence 0 0 0 194 3 3 10 308
The Trade Imbalance Network and Currency Returns 0 6 6 6 2 5 5 5
The cost of foreign-currency lending 0 0 0 0 1 1 13 30
The dynamic relationship between the federal funds rate and the Treasury bill rate: an empirical investigation 1 1 1 528 3 5 17 2,155
The efficient market hypothesis and identification in structural VARs 0 0 0 253 3 3 13 900
The empirical failure of the expectations hypothesis of the term structure of bond yields 0 0 0 383 4 4 11 829
The expectation hypothesis of the term structure of very short-term rates: statistical tests and economic value 0 0 0 222 4 4 11 761
The scapegoat theory of exchange rates: the first tests 0 0 0 34 0 0 9 173
The scapegoat theory of exchange rates: the first tests 0 0 1 90 1 6 18 451
Volatility Risk Premia and Exchange Rate Predictability 0 0 0 65 7 13 32 220
What Do Stock Markets Tell Us About Exchange Rates? 0 0 1 44 0 0 13 134
What Drives International Portfolio Flows? 0 0 1 103 0 1 20 296
What do stock markets tell us about exchange rates? 0 0 1 91 6 7 30 205
What's unique about the federal funds rate? evidence from a spectral perspective 0 0 0 114 0 1 8 588
When Is Foreign Exchange Intervention Effective? Evidence from 33 Countries 0 0 3 136 2 3 30 298
When is foreign exchange intervention effective? Evidence from 33 countries 0 0 1 101 0 4 47 233
Which Fundamentals Drive Exchange Rates? A Cross-Sectional Perspective 0 0 0 89 1 2 17 288
Total Working Papers 6 29 91 20,201 278 484 2,341 73,427
2 registered items for which data could not be found

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A century of equity premium predictability and the consumption-wealth ratio: An international perspective 0 0 1 93 1 2 10 326
A cross-country financial accelerator: Evidence from North America and Europe 0 0 0 96 3 3 14 271
Adjustment Costs and Nonlinear Dynamics in the Demand for Money: Italy, 1861-1991 0 0 0 88 3 3 14 325
An Economic Evaluation of Empirical Exchange Rate Models 0 0 0 128 4 9 16 321
An empirical investigation of asset price bubbles in Latin American emerging financial markets 0 0 0 186 4 5 18 541
Arbitrage in the foreign exchange market: Turning on the microscope 1 3 14 410 4 14 93 1,540
Asset prices, exchange rates and the current account 0 1 1 120 3 5 21 415
Business cycles and currency returns 0 1 2 45 3 10 28 180
CAUTION OR ACTIVISM? MONETARY POLICY STRATEGIES IN AN OPEN ECONOMY 0 0 0 32 0 2 15 173
Capital Flows to Developing Countries: Long- and Short-Term Determinants 0 0 0 4 2 2 16 1,442
Carry Trades and Global Foreign Exchange Volatility 0 0 3 215 18 47 101 747
Comparing the accuracy of density forecasts from competing models 0 0 0 87 0 0 6 278
Composantes permanente et transitoire de l'épargne et de l'investissement: une étude empirique des flux internationaux de capitaux au Japon 0 0 0 4 4 4 7 67
Currency Premia and Global Imbalances 0 1 5 106 5 11 49 448
Currency Risk Premiums Redux 0 0 4 7 1 2 22 38
Currency Value 0 2 4 84 14 27 49 312
Currency momentum strategies 3 5 18 434 36 76 194 1,558
Deviations from purchasing power parity under different exchange rate regimes: Do they revert and, if so, how? 0 0 0 190 1 1 15 482
Does the law of one price hold in international financial markets? Evidence from tick data 0 0 0 123 2 2 21 618
Empirical exchange rate models and currency risk: some evidence from density forecasts 0 0 0 128 3 5 21 310
Estimating the Mean‐reverting Component in Stock Prices: A Cross‐country comparison 0 0 0 1 0 0 3 7
European Capital Flows and Regional Risk 0 0 0 81 2 2 15 333
Exchange Rates and Fundamentals: Footloose or Evolving Relationship? 0 1 1 212 2 3 18 569
Exchange Rates and Sovereign Risk 0 1 5 13 1 2 29 62
Exchange controls, international capital flows and saving-investment correlations in the UK: An empirical investigation 0 0 0 33 1 1 8 189
Exchange rate and interest rate volatility in the European Monetary System: some further results 0 0 0 49 1 3 11 183
Exchange rate forecasting, order flow and macroeconomic information 1 2 7 323 3 12 47 960
Exchange rates and fundamentals: evidence on the economic value of predictability 0 0 0 237 0 2 26 664
Federal Funds Rate Prediction 0 0 0 0 2 2 8 852
Foreign Exchange Intervention: A New Database 0 0 6 17 1 4 28 71
Foreign Exchange Volume 1 1 4 14 9 11 42 96
Foreign exchange risk and the predictability of carry trade returns 0 0 2 54 3 5 20 211
Global liquidity risk in the foreign exchange market 0 1 2 85 1 2 18 417
Hot money, accounting labels and the permanence of capital flows to developing countries: an empirical investigation 0 0 0 335 1 1 9 1,031
How the Subprime Crisis went global: Evidence from bank credit default swap spreads 0 0 1 147 3 3 35 553
How well do monetary fundamentals forecast exchange rates? 0 0 0 710 0 1 10 1,961
Information Flows in Foreign Exchange Markets: Dissecting Customer Currency Trades 0 0 0 16 10 17 26 165
International real interest rate differentials, purchasing power parity and the behaviour of real exchange rates: the resolution of a conundrum 0 0 0 289 1 1 13 1,101
Mean reversion in stock index futures markets: A nonlinear analysis 0 1 1 7 17 20 35 74
Modelling and forecasting stock returns: exploiting the futures market, regime shifts and international spillovers 0 0 1 2 1 1 11 19
Modelling and forecasting stock returns: exploiting the futures market, regime shifts and international spillovers 1 2 2 234 2 3 14 732
Monetary Fundamentals and Exchange Rate Dynamics under Different Nominal Regimes 0 0 0 158 1 1 11 558
Monetary Policy Rules, Asset Prices, and Exchange Rates 0 0 1 48 2 3 12 184
Moral hazard, asset price bubbles, capital flows, and the East Asian crisis:: the first tests 0 0 2 520 0 0 10 1,141
New evidence on the forward unbiasedness hypothesis in the foreign‐exchange market 0 0 0 0 1 1 10 22
Nonlinear Dynamics, Spillovers and Growth in the G7 Economies: An Empirical Investigation 0 0 0 1 1 2 3 10
Nonlinear Equilibrium Correction in U.S. Real Money Balances, 1869-1997 0 0 0 1 1 1 13 302
Nonlinear Exchange Rate Models: A Selective Overview 0 0 0 25 2 2 9 157
Nonlinear Mean-Reversion in Real Exchange Rates: Toward a Solution to the Purchasing Power Parity Puzzles 0 0 0 2 2 4 28 838
Nonlinear dynamics in deviations from the law of one price: a broad-based empirical study 0 0 1 250 5 14 48 750
Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle 0 0 0 76 1 1 14 276
Nonstandard Errors 0 0 5 46 6 17 54 202
Official Intervention in the Foreign Exchange Market: Is It Effective and, If So, How Does It Work? 0 0 5 1,078 4 5 40 2,758
Policy convergence, the exchange rate mechanism and the misalignment of exchange rates. Some tests of purchasing power parity and generalized purchasing power parity 0 0 0 142 1 2 7 505
Private consumption behaviour, liquidity constraints and financial deregulation in France: a nonlinear analysis 0 0 0 177 1 1 10 805
Properties of foreign exchange risk premiums 1 1 1 93 2 4 10 310
Purchasing Power Parity and the Real Exchange Rate 0 0 2 1,994 2 3 48 4,804
Real Exchange Rate Dynamics in Transition Economies: A Nonlinear Analysis 1 1 1 291 2 2 21 790
Real Interest Rates, Liquidity Constraints and Financial Deregulation: Private Consumption Behavior in the U.K 0 0 0 112 1 1 11 288
Real exchange rate behavior in the Middle East: a re-examination 0 0 1 63 0 0 11 266
Real exchange rate behaviour in high inflation countries: empirical evidence from Turkey, 1980-1997 0 0 1 150 2 3 8 404
Real exchange rates under the recent float: unequivocal evidence of mean reversion 0 0 1 121 0 1 20 381
Risks and risk premia in the US Treasury market 0 0 0 5 2 4 39 58
Risky bank guarantees 1 1 1 20 2 2 18 95
Savings-Investment Correlations: Transitory versus Permanent 0 0 0 0 0 0 4 405
Short‐ and long‐run price level uncertainty under different monetary policy regimes: an international comparison 0 0 1 4 4 4 12 23
Special issue on advances in international money, macro and finance 0 0 0 44 1 2 8 147
Speculative Bubbles in U.K. House Prices: Some New Evidence 0 0 0 4 0 0 11 28
Spot and forward volatility in foreign exchange 0 0 2 147 4 8 26 550
Stochastic growth: Empirical evidence from the G7 countries 0 0 0 11 1 1 16 161
Systematic sampling and real exchange rates 0 0 0 24 2 3 10 100
The Empirical Failure of the Expectations Hypothesis of the Term Structure of Bond Yields 0 0 0 66 3 3 38 309
The Feeble Link between Exchange Rates and Fundamentals: Can We Blame the Discount Factor? 0 0 0 1 2 2 14 34
The Feeble Link between Exchange Rates and Fundamentals: Can We Blame the Discount Factor? 0 0 0 58 1 1 16 212
The Predictive Information Content of External Imbalances for Exchange Rate Returns: How Much Is It Worth? 0 0 0 116 2 4 16 397
The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates 0 0 0 160 4 5 16 542
The behavior of US public debt: a nonlinear perspective 0 0 0 127 2 2 11 377
The behavior of real exchange rates during the post-Bretton Woods period 0 0 2 417 6 7 39 1,172
The cost of carry model and regime shifts in stock index futures markets: An empirical investigation 0 0 1 14 2 4 12 69
The cost of foreign-currency lending 0 1 4 12 0 3 20 67
The dynamic relationship between the federal funds rate and the Treasury bill rate: An empirical investigation 0 0 0 284 10 13 33 1,154
The economic value of predicting bond risk premia 0 0 0 38 2 6 16 142
The efficient market hypothesis and identification in structural VARs 0 0 0 163 4 4 14 915
The expectation hypothesis of the term structure of very short-term rates: Statistical tests and economic value 0 0 1 202 4 4 20 721
The market for lemmings: The herding behavior of pension funds 0 0 1 34 3 5 21 156
The out-of-sample success of term structure models as exchange rate predictors: a step beyond 0 0 0 336 6 7 13 944
The scapegoat theory of exchange rates: the first tests 0 0 1 91 3 5 17 357
The temporal relationship between derivatives trading and spot market volatility in the U.K.: Empirical analysis and Monte Carlo evidence 0 0 0 8 0 0 4 33
The trade imbalance network and currency returns 0 0 3 6 1 4 30 48
Time‐Varying Volatility in the Foreign Exchange Market: New Evidence on its Persistence and on Currency Spillovers 0 0 0 9 1 2 14 49
Timing exchange rates using order flow: The case of the Loonie 0 0 1 37 1 2 12 164
Toward a new paradigm in open economy modeling: where do we stand? 0 0 1 27 3 4 13 107
Viewpoint: Towards a solution to the puzzles in exchange rate economics: where do we stand? 0 0 0 388 2 3 26 818
Viewpoint: Towards a solution to the puzzles in exchange rate economics: where do we stand? 0 1 3 8 1 6 26 53
Volatility risk premia and exchange rate predictability 1 3 6 127 15 29 67 480
What Do Stock Markets Tell Us about Exchange Rates? 0 0 0 33 0 0 21 157
What drives international portfolio flows? 0 0 1 70 3 4 27 237
What's Unique About the Federal Funds Rate? Evidence from a Spectral Perspective* 0 0 0 30 2 3 10 185
When Is Foreign Exchange Intervention Effective? Evidence from 33 Countries 0 0 2 131 2 4 33 557
When Is Foreign Exchange Intervention Effective? Evidence from 33 Countries 0 0 2 10 1 4 38 57
Which Fundamentals Drive Exchange Rates? A Cross‐Sectional Perspective 0 0 0 60 2 4 18 192
Total Journal Articles 11 30 138 14,109 313 562 2,353 48,665
1 registered items for which data could not be found

Book File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
The Economics of Exchange Rates 0 0 0 0 4 10 49 823
Total Books 0 0 0 0 4 10 49 823

Chapter File Downloads Abstract Views
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Non-linear Dynamics in Output, Real Exchange Rates and Real Money Balances: Norway, 1830-2003 0 0 0 0 0 0 4 6
Total Chapters 0 0 0 0 0 0 4 6

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